Course highlights:

• Examine the practical application of Basel II: methodological approaches for pillar I and pillar II
• Review stress-scenarios for liquidity risk: systemic versus firm-specific
• Undertake a portfolio-level credit risk stress testing case-study
• Investigate sensitivities and factor-push methods
• Assess the need for integrated credit and market risk stress testing
• Consider the integration of stress testing into regulatory and economic capital management process
• Explore structural versus reduced form approaches to VaR and stress testing for credit portfolios
• Analyse scenario based risk measures and limit systems

Course tutors:

• Hans Mikkelsen, BANC OF AMERICA SECURITIES
• Manoj Singh, BEAR STEARNS
• Eduardo Epperlein, CITIGROUP
• Thomas Dietz, COMMITTEE OF EUROPEAN BANKING SUPERVISORS
• Armin Leistenschneider, DRESDNER BANK AG
• Oliver Ewald, DRESDNER BANK AG
• Alfred Seivold, FEDERAL DEPOSIT INSURANCE CORPORATION
• Bart Miller, FEDERAL RESERVE BANK OF CHICAGO
• Alejandro Latorre, FEDERAL RESERVE BANK OF NEW YORK
• Thomas Breuer, FH VORARLBERG
• Colin Burke, HBOS TREASURY SERVICES
• Ludger Overbeck, HYPOVEREINSBANK
• Yong Kim, KEYCORP
• Aaron Brown, MORGAN STANLEY
• Barry Schachter, RUTTER ASSOCIATES LLC
• John Gavin, UBS
• Shelley Cooper, UBS